Giuseppe Cavaliere;Anders Rahbek;A. M. Robert Taylor, Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 272 - 289 [articolo]
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; Taylor, A.M. Robert, Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, «JOURNAL OF ECONOMETRICS», 2015, 187, pp. 557 - 579 [articolo]Open Access
Giuseppe Cavaliere; Heino Bohn Nielsen; Anders Rahbek, Bootstrap testing of hypotheses on co-integration relations in VAR models, «ECONOMETRICA», 2015, 83, pp. 813 - 831 [articolo]Open Access
Giuseppe Cavaliere; Peter C.B. Phillips; Stephan Smeekes; A.M. Robert Taylor, Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, «ECONOMETRIC REVIEWS», 2015, 34, pp. 512 - 536 [articolo]
Giuseppe Cavaliere; Dimitris N. Politis; Anders Rahbek, Recent Developments in Bootstrap Methods for Dependent Data, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 269 - 271 [replica/breve intervento]
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J.; Robert Taylor, A.M., Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics, «JOURNAL OF TIME SERIES ANALYSIS», 2015, 36, pp. 603 - 629 [articolo]
Giuseppe Cavaliere;Anders Rahbek;A. M. Robert Taylor, Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models, «ECONOMETRIC REVIEWS», 2014, 33, pp. 606 - 650 [articolo]
G. Cavaliere; F. Xu, Testing for unit roots in bounded time series, «JOURNAL OF ECONOMETRICS», 2014, 178, pp. 259 - 272 [articolo]
G. Cavaliere; A.M.R. Taylor; C. Trenkler, Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion, «ECONOMETRIC REVIEWS», 2013, 32, pp. 814 - 847 [articolo]
Giuseppe Cavaliere;Iliyan Georgiev, EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS, «ECONOMETRIC THEORY», 2013, 29, pp. 1162 - 1195 [articolo]
G. Cavaliere; I. Georgiev; A.M.R. Taylor, Wild bootstrap of the mean in the infinite variance case, «ECONOMETRIC REVIEWS», 2013, 32, pp. 204 - 219 [articolo]
G. Cavaliere; A. Rahbek; A.M.R. Taylor, Bootstrap determination of the co-integration rank in VAR models, «ECONOMETRICA», 2012, 80, pp. 1721 - 1740 [articolo]
G. Cavaliere; D. Harvey; S. Leybourne; A.M.R. Taylor, TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY, «ECONOMETRIC THEORY», 2011, 27, pp. 957 - 991 [articolo]
G Cavaliere; A Rahbek; AMR Taylor, Cointegration rank testing under conditional heteroskedasticity, «ECONOMETRIC THEORY», 2010, 26, pp. 1719 - 1760 [articolo]
G. Cavaliere; M. Costa, Common trends in financial markets, in: Price indexes in time and space, BERLIN, Springer Verlag, 2010, pp. 225 - 238 (Contributions to statistics) [capitolo di libro]
